Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1660
Annualized Std Dev 0.3132
Annualized Sharpe (Rf=0%) -0.5299

Row

Daily Return Statistics

Close
Observations 3212.0000
NAs 1.0000
Minimum -0.1562
Quartile 1 -0.0073
Median -0.0009
Arithmetic Mean -0.0005
Geometric Mean -0.0007
Quartile 3 0.0057
Maximum 0.1585
SE Mean 0.0003
LCL Mean (0.95) -0.0012
UCL Mean (0.95) 0.0002
Variance 0.0004
Stdev 0.0197
Skewness -0.1343
Kurtosis 14.2254

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0165
Loss Deviation 0.0158
Downside Deviation (MAR=210%) 0.0186
Downside Deviation (Rf=0%) 0.0141
Downside Deviation (0%) 0.0141
Maximum Drawdown 0.9444
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0486
Modified VaR (95%) -0.0281
Modified ES (95%) -0.0281
From Trough To Depth Length To Trough Recovery
2009-03-09 2021-03-12 NA -0.9444 3030 3024 NA
2008-11-21 2009-01-06 2009-03-05 -0.3709 70 30 40
2008-07-16 2008-09-19 2008-10-09 -0.3207 61 47 14
2008-10-28 2008-11-04 2008-11-12 -0.2024 12 6 6
2008-10-10 2008-10-14 2008-10-27 -0.1892 12 3 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA -0.8 -1.1 0.4 -3.6 -5 15.9 -2.9 1.4
2009 2.8 6 -2.2 1.3 -1.7 0.1 -0.7 4.7 3.7 4.1 -0.2 0.4 19.6
2010 -1.4 -0.3 -0.9 2.4 2.1 0.6 0 -3.8 -0.8 0 -2.1 -0.1 -4.3
2011 -1.9 2 -0.8 0.2 3.3 -1.9 0.3 2.2 3.2 4.4 0.8 0.5 12.8
2012 -1.6 -1 -0.3 -0.9 3.6 -2.5 0.8 -0.5 -0.4 -1.1 0 -1.3 -5.4
2013 -1.3 -0.2 0.6 1.1 1.4 -0.4 -1.4 0.7 -0.8 -0.4 0.4 -0.4 -0.8
2014 1 -0.5 -0.4 -0.1 -0.2 -0.9 0.7 -0.3 1.1 -1.3 0.5 1.2 0.7
2015 1.5 0.1 0.1 -0.7 -0.3 -1.1 0.3 3.2 -0.1 1.3 -0.8 1 4.6
2016 0.1 -3.2 -0.6 0.4 -0.1 0.1 0.4 0.4 -0.9 0.9 -0.9 -0.5 -3.9
2017 0.4 -2 0.3 -0.4 -1.1 -0.2 -0.7 -0.5 -0.2 -0.1 -0.2 0.3 -4.3
2018 -0.5 1.3 -1.1 -0.3 -1.1 -0.3 0 -0.1 0.1 -0.6 -0.9 -0.4 -3.7
2019 -0.4 -0.4 -1.8 0.7 1 -0.9 1.6 -0.3 1.7 -0.9 0.3 -0.3 0.1
2020 2 2.1 6 3.1 -1.1 0.2 0.3 0 -0.7 0.3 -1.5 -1.2 9.5
2021 -1.7 -2 1.5 NA NA NA NA NA NA NA NA NA -2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-06-12  143. SPY    134.  0.0038   -0.045   -0.0429   0.0213   -0.115   0.119     0.340 GLD    85.6 -0.0163  -0.0098
2 2008-06-13  142. SPY    136.  0.0126   -0.001   -0.0328   0.0505   -0.109   0.129     0.353 GLD    85.8  0.0027  -0.0363
3 2008-06-17  140. SPY    136. -0.00480  -0.0027  -0.0497   0.0145   -0.113   0.120     0.334 GLD    87.2  0.0028   0.0199
4 2008-06-18  143. SPY    134. -0.0097    0.0023  -0.0615   0.0302   -0.124   0.106     0.321 GLD    88.3  0.0118   0.0145
5 2008-06-19  142. SPY    134.  0.0013   -0.0002  -0.0526   0.0177   -0.111   0.108     0.323 GLD    88.4  0.0016   0.0329
6 2008-06-20  145. SPY    132. -0.0161   -0.0287  -0.0519  -0.0183   -0.130   0.0894    0.322 GLD    89.0  0.006    0.0364
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart